Screening Stocks with Weekly MACD, Price Range, and Auction Volume

Summary

This Chinese stock-screening strategy combines three filters: daily amplitude above 1%, weekly MACD above its zero line, and a ratio between yesterday’s turnover rate and today’s auction activity within a stated band. The article frames the filters as a way to identify stocks with an upward technical trend and sufficient market activity. It also provides indicator logic and a sample data workflow, though the example code does not cleanly match all the stated conditions.

The author cautions that technical indicators can produce different selections and cannot capture company fundamentals or industry conditions. Suggested improvements include adding market risk appetite, trading volume, price changes, and market capitalization, then evaluating the approach through long-term backtests. No performance results or empirical evidence are presented, so the screen should be treated as a proposed selection rule rather than a validated strategy.

Key ideas

• The screen combines daily amplitude, weekly MACD position, and a turnover-to-auction-activity ratio.
• The stated thresholds are intended to filter for an upward technical setup and trading activity.
• The article warns that technical signals omit fundamental and industry information.
• It recommends adding other features and using long-term backtesting to evaluate reliability.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.